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Mathematical Finance in Continuous Time

  • Nicholas H. Bingham
  • Rüdiger Kiesel
Part of the Springer Finance book series (FINANCE)

Abstract

This chapter discusses the general principles of continuous-time financial market models. In the first section we use a rather general model, which will serve also as a reference in the later chapters. A thorough discussion of the benchmark multi-dimensional Black-Scholes model is the topic of the second section. We discuss the valuation of several standard and exotic contingent claims in the continuous-time Black-Scholes model in the third section. After examining the relation between continuous-time and discrete-time models we close with a discussion of futures and currency markets.

Keywords

Trading Strategy Implied Volatility Price Process Contingent Claim Martingale Measure 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag London 1998

Authors and Affiliations

  • Nicholas H. Bingham
    • 1
  • Rüdiger Kiesel
    • 1
  1. 1.Birkbeck CollegeUniversity of LondonLondonUK

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